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Major Bearish Block Trades in Pepsi Co. (PEP) and Western Union (WU)

Jun 17, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

Major Stock Block Trades From Friday

Bullish
  • DO 7,500 Jul 9 calls trade tied to stock (appears bought, $.15, ref. 7.46) 
  • AA 6,452 Oct 24 calls trade (appears bought, $1.40, more than 12,000 trade total, ref. 21.81) 
  • BOX 3,500 Jul 20 calls trade (appears bought to open, b/w $.23 and $.24, ref. 17.82)
Bearish
  • UNG Seller 20,00 Jul 20 puts to Buy 8,000 Jul 21 puts (opens both legs, collects $208,000 in premium, ref. 20.36) 
  • WU Buyer 10,000 Jul 19 – 18 put spreads (paid $.16, appears to roll puts up, ref. 19.90) 
  • PEP 10,000 Sep 140 calls trade (appears sold to open write, $1.40, ref. 133.15)

Major ETFs Block Trades From Friday

Bullish
  • GDX Seller 6,500 Jun 23 - 25 call spreads to Buy 6,500 Aug 24 - 26 call spreads (collects $.13 to roll out and up, ref. 23.59) 
  • USO 5,000 Jul 5th 11 calls trade (appears bought to open, $.43, ref. 10.98)
Bearish
  • XBI Seller 5,000 Jun 83 - 75 put spreads to Buy 5,000 Jul 80 - 73 put spreads (monetizes, trades even, rolls out and down, ref. 82.80) 
  • IWM 12,500 Jun 151 – 146 put spreads trade (appears bought, $1.02, ref. 152.13)

Implied Volatility Data For Liquid Macro Index ETFs

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Name Ticker 1-Month IV 1-Month IV Percentile 3-Month IV 3-Month IV Percentile 3-Month/1-Month IV 3-Month/1-Month IV
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
S&P 500 ETF Trust SPY 13.21 56.94% 14.16 59.13% 1.07 42.06% 42.46% 49.21%
Invesco QQQ Trust QQQ 18.36 55.95% 18.1 56.75% 0.99 41.27% 32.94% 48.41%
iShares Russell 2000 ETF IWM 17.16 57.94% 17.27 60.32% 1.01 54.96% 40.87% 32.94%
SPDR EURO STOXX 50 ETF FEZ 15.35 56.35% 14.47 30.95% 0.94 20.44% 52.78% 41.27%
iShares MSCI Emerging Markets ETF EEM 17.38 40.08% 17.73 34.52% 1.02 47.02% 86.11% 82.94%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Expensive 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
iShares 7-10 Year Treasury Bond ETF IEF 7.26 5.93 97.22% 94.05% 88.89% 63.89%
Teucrium Corn Fund CORN 34.51 33.38 96.83% 97.22% 78.17% 89.68%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 34.4 33.34 93.65% 96.03% 55.16% 82.94%
iShares 20+ Year Treasury Bond ETF TLT 11.31 10.76 92.46% 91.67% 55.56% 73.41%
VanEck Vectors Junior Gold Miners ETF GDXJ 30.24 30.43 90.87% 93.25% 65.87% 78.97%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Expensive 3-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Teucrium Corn Fund CORN 34.51 33.38 96.83% 97.22% 78.17% 89.68%
Direxion Daily 20+ Year Treasury Bull 3X Shares TMF 34.4 33.34 93.65% 96.03% 55.16% 82.94%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 30.01 31.02 88.10% 95.24% 8.33% 41.67%
Direxion Daily Junior Gold Miners Index Bear 3X Shares JDST 89.72 90 90.87% 95.24% 62.30% 78.57%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 91.1 92.64 90.08% 94.44% 66.67% 79.37%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Expensive 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
The Kroger Co. KR 45.68 35.78 99.60% 97.22% 94.44% 98.81%
Morgan Stanley DWDP 35.7 32.56 91.67% 92.46% 66.27% 13.49%
Walgreens Boots Alliance, Inc. WBA 31.55 27.58 91.67% 88.49% 76.19% 51.19%
Constellation Brands, Inc. STZ 34.11 28.85 90.87% 90.08% 45.24% 54.37%
FedEx Corporation FDX 34.04 30.49 89.68% 89.29% 63.49% 80.95%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Expensive 3-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Western Digital Corporation WDC 49 52.19 71.83% 97.62% 40.87% 71.83%
The Kroger Co. KR 45.68 35.78 99.60% 97.22% 94.44% 98.81%
Allergan plc AGN 29.85 32.65 73.02% 95.63% 26.59% 77.38%
Fluor Corporation FLR 36.07 42.66 57.94% 95.63% 54.76% 35.32%
National Oilwell Varco, Inc. NOV 40.56 40.71 88.89% 95.24% 74.21% 69.44%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Cheapest 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Invesco CurrencyShares British Pound Sterling Trust FXB 6.49 7.67 1.98% 6.75% 69.05% 30.95%
ProShares Short VIX Short-Term Futures ETF SVXY 24.8 32.1 1.98% 35.32% 61.51% 36.51%
iShares 1-3 Year Treasury Bond ETF SHY 2.58 2.66 4.17% 19.64% 1.19% 8.73%
VanEck Vectors Russia ETF RSX 17.56 18.82 6.75% 6.75% 60.32% 75.79%
Invesco CurrencyShares Australian Dollar Trust FXA 7.46 7.63 8.33% 4.17% 89.29% 89.68%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Cheapest 3-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Invesco CurrencyShares Canadian Dollar Trust FXC 5.63 5.4 20.63% 1.98% 38.49% 64.29%
Invesco CurrencyShares Australian Dollar Trust FXA 7.46 7.63 8.33% 4.17% 89.29% 89.68%
Invesco CurrencyShares British Pound Sterling Trust FXB 6.49 7.67 1.98% 6.75% 69.05% 30.95%
Invesco DB US Dollar Index Bullish Fund UUP 5.8 5.87 9.72% 6.75% 47.22% 84.92%
VanEck Vectors Russia ETF RSX 17.56 18.82 6.75% 6.75% 60.32% 75.79%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Cheapest 1-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Raytheon Company RTN 14.75 20.5 0.40% 50.00% 1.19% 28.97%
Nektar Therapeutics NKTR 50.84 61.47 0.79% 36.11% 23.02% 64.29%
Assurant, Inc. AIZ 19.9 21.1 0.79% 1.19% 21.83% 50.79%
Under Armour, Inc. UAA 32.03 42.18 1.19% 34.33% 13.89% 53.57%
Exelon Corporation EXC 12.24 15.21 1.79% 42.46% 1.59% 31.75%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Cheapest 3-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Campbell Soup Company CPB 24.32 24.52 9.52% 0.60% 2.78% 12.30%
Assurant, Inc. AIZ 19.9 21.1 0.79% 1.19% 21.83% 50.79%
Dollar General Corporation DG 17.2 19.69 2.78% 3.57% 14.29% 47.62%
The J. M. Smucker Company SJM 19.85 21.09 7.54% 4.37% 37.70% 90.48%
Discovery, Inc. DISCA 30.12 31.06 3.57% 4.37% 22.22% 11.11%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

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